What Is Negative Mortgage Convexity?

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Tip 1 - Negative Convexity Definition | Investopedia

Published: 9 years, 5 month(s) ago | Submitted by Iulian | permalink

When the shape of a bond's yield curve is concave. A bond's convexity is the rate of change of its duration, and is measured as the second derivative of price with respect to yield. Most mortgage bonds are negatively convex.
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For further reading: http://www.investopedia.com/terms/n/negative_convexity.asp ^[1]

Tip 2 - Convexity Hedging: What Is It, and Why Does It Matter?

Published: 9 years, 5 month(s) ago | Submitted by TITO QUINTERO | permalink

It only took a small backup in U.S. Treasury (UST) rates ― 10-year UST rates moved from 1.58% in early December to ~2.00% today ― for pundits to speculate on whether rates will drastically increase...

For further reading: http://blogs.cfainstitute.org/insideinvesting/2013/02/27/convexity-hedging-what-is-it-and-why-does-it-matter/ ^[2]